The Estimation of Missing Observations in
Related Time Series Data: Further Results
Keith C. Brown
K. Rao
Kadiyala
Communications in Statistics 14, 1985, pp. 973-981
Earlier work has provided an efficient method for
the prediction of missing data in a dependent variable series using a system of
grouped regression equations. This paper
extends the previous literature in two ways.
First, a test statistic capable of indicating the advantage of the
grouped procedure is derived. Second, it
is demonstrated through an empirical application that the most prevalent
methodology used for examining the impact of financial economic events (i.e.,
the event study) is a special case of the missing estimation problem.
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